Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0078 |
| Annualized Std Dev | 0.2293 |
| Annualized Sharpe (Rf=0%) | 0.0342 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3903.0000 |
| NAs | 1.0000 |
| Minimum | -0.1481 |
| Quartile 1 | -0.0052 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0064 |
| Maximum | 0.1215 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0144 |
| Skewness | -0.7859 |
| Kurtosis | 15.0080 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0108 |
| Gain Deviation | 0.0101 |
| Loss Deviation | 0.0125 |
| Downside Deviation (MAR=210%) | 0.0152 |
| Downside Deviation (Rf=0%) | 0.0107 |
| Downside Deviation (0%) | 0.0107 |
| Maximum Drawdown | 0.6798 |
| Historical VaR (95%) | -0.0207 |
| Historical ES (95%) | -0.0364 |
| Modified VaR (95%) | -0.0223 |
| Modified ES (95%) | -0.0472 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | NA | -0.6798 | 3369 | 339 | NA |
| 2007-07-24 | 2007-08-16 | 2007-10-05 | -0.1170 | 53 | 18 | 35 |
| 2006-05-10 | 2006-06-13 | 2006-09-27 | -0.0924 | 98 | 24 | 74 |
| 2007-02-27 | 2007-03-05 | 2007-04-03 | -0.0787 | 26 | 5 | 21 |
| 2005-10-03 | 2005-10-20 | 2005-11-23 | -0.0682 | 38 | 14 | 24 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | 0.1 | 0.4 | 1.1 | -0.5 | 1.1 |
| 2006 | 0.4 | 0.1 | -0.6 | -0.1 | 0.6 | 0.7 | -0.4 | -0.1 | -0.6 | -0.1 | -0.7 | -0.4 | -1.1 |
| 2007 | 0.6 | -1 | -0.1 | -0.1 | 0.5 | 0.3 | -1.4 | 1.8 | 1.2 | -2.5 | 0.6 | -1.6 | -1.6 |
| 2008 | 1.9 | -2.8 | 3 | 0.7 | 0.4 | -1 | -1 | -0.5 | -0.3 | 0.7 | -9.1 | 1.2 | -7.1 |
| 2009 | -2.2 | -1.7 | 2.8 | 1.4 | 2.1 | 0.9 | 1.3 | -2.5 | -2.7 | -3.1 | 2.4 | -0.2 | -1.9 |
| 2010 | 1.4 | 0.5 | 1.4 | -0.8 | -1.3 | 0.8 | 0.4 | 2.4 | 0.9 | -0.1 | 2 | 0.1 | 7.8 |
| 2011 | 1.5 | -0.7 | 1.1 | 0.4 | -1.6 | 0.9 | -0.3 | -0.4 | -1.7 | -2.5 | -0.4 | 0.7 | -3.2 |
| 2012 | 1.3 | 1.1 | 0.7 | 0.4 | -1.4 | 2.7 | 0 | 0.6 | 0.6 | 0.9 | 0.2 | 1.3 | 8.8 |
| 2013 | 0.4 | -0.1 | -0.3 | -0.8 | -1.8 | 0.6 | 0.9 | -0.5 | 0.4 | -0.3 | 0.6 | 0.5 | -0.4 |
| 2014 | -0.7 | 0.1 | 0.3 | 0.2 | -0.1 | 0.5 | -0.1 | 0.1 | -1.1 | 0.5 | -0.4 | -0.7 | -1.2 |
| 2015 | -0.9 | 0.2 | 0.7 | 0.8 | -0.7 | -0.5 | 0 | -3.9 | 0.1 | -0.1 | 0.5 | -0.4 | -4.2 |
| 2016 | -0.5 | 2.4 | -1.2 | -0.3 | -0.3 | 0.4 | -1.3 | 0.3 | 0.8 | -0.8 | -0.3 | 0.3 | -0.6 |
| 2017 | -0.4 | 0.6 | 0.3 | -0.1 | 0.9 | 0.5 | 0.3 | 0.6 | 0.2 | -0.1 | 0.6 | 0 | 3.6 |
| 2018 | 0.4 | -0.3 | 1.2 | -0.4 | 0.4 | 1.5 | -0.2 | -0.6 | 1 | 2.4 | -0.3 | 0 | 5.1 |
| 2019 | 0.1 | -0.1 | 1.3 | -0.8 | -0.6 | 0.5 | -0.3 | 0.6 | -1.2 | 0.8 | -0.7 | 0.3 | -0.1 |
| 2020 | -1.9 | -1.8 | -3.6 | -4.1 | 2.1 | 0.2 | -1.2 | 0.9 | 0.6 | -0.2 | 1.3 | -0.1 | -7.7 |
| 2021 | 0.8 | 1.8 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-09-15 15.0 SPY 123. -0.0005 -0.0028 0.0077 0.0144 0.0885 0.37 -0.178 GLD 45.4 0.0102 0.0184
2 2005-09-16 15.1 SPY 124. 0.0071 -0.0046 0.0149 0.0219 0.0961 0.412 -0.171 GLD 45.8 0.0088 0.0219
3 2005-09-19 15.1 SPY 123. -0.0033 -0.0101 0.0074 0.0139 0.0944 0.416 -0.171 GLD 46.2 0.0094 0.0303
4 2005-09-20 15.0 SPY 122. -0.0084 -0.013 -0.0034 0.00480 0.0805 0.441 -0.180 GLD 46.2 -0.0004 0.0375
5 2005-09-21 15.0 SPY 121. -0.00930 -0.0187 -0.0127 -0.0054 0.0839 0.433 -0.186 GLD 47.1 0.018 0.0467
6 2005-09-22 14.9 SPY 121. 0.0036 -0.0147 -0.0074 0.0123 0.0936 0.450 -0.169 GLD 46.4 -0.0149 0.0207
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
